Estimating IBNR claim counts using different levels of data aggregation

DOI10.1080/03610918.2019.1705973zbMath1489.62337OpenAlexW2997522793MaRDI QIDQ5866139

Liivika Tee, Meelis Käärik

Publication date: 13 June 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2019.1705973

zbMATH Keywords

kernel smoothingdensity estimationpredictive modelingIBNR claimsclaims reservingchain-ladder methodcontinuous chain-ladder

Mathematics Subject Classification ID

Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Uses Software

• R
• KernSmooth

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A marked Cox model for the number of IBNR claims: theory
• Nonparametric density estimation for multivariate bounded data
• An Optimization Interpretation of Integration and Back-Fitting Estimators for Separable Nonparametric Models
• Multivariate Boundary Kernels and a Continuous Least Squares Principle
• Multivariate Boundary Kernels from Local Linear Estimation
• Addendum to “kernel estimators for multivariate regression”
• Micro-level stochastic loss reserving for general insurance
• On the relationship between classical chain ladder and granular reserving
• A kernel method of estimating structured nonparametric regression based on marginal integration
• A MARKED COX MODEL FOR THE NUMBER OF IBNR CLAIMS: ESTIMATION AND APPLICATION
• Multivariate Density Estimation
• INDIVIDUAL LOSS RESERVING WITH THE MULTIVARIATE SKEW NORMAL FRAMEWORK

This page was built for publication: Estimating IBNR claim counts using different levels of data aggregation